Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
: Markov chain; ARFIMA process; Viterbi algorithm; Long memory
JEL classification: C14, C22, C32, C52, C53, G12
∗This research … combine the Durbin-Levinson algorithm and the Viterbi algorithm to
suggest a Durbin-Levinson-Viterbi (DLV) algorithm for the … model in (5). When compared
to the original Viterbi algorithm designed for solving the problem of maximum a posteri-
ori …